Dario Caldara and Matteo Iacoviello
The country-specific GPR index reflects automated text-search results of the electronic archives of three U.S newspapers: The New York Times, Chicago Tribune and The Washington Post. For each of the 39 countries, Caldara and Iacoviello calculate the country-specific index by counting the monthly share of all newspaper articles from 1900 to 2020 that both (1) meet the criterion for inclusion in the GPR index and (2) mention the name of the country or its major cities. Each index is then normalized to an average of 100 throughout the entire sample. The resulting indices capture the U.S. perspective on risks posed by, or involving, the country in question.
The search identifies articles containing references to eight categories, including war threats, threats to peace, international sanctions or embargoes,nuclear threats, terrorist threats, war act articles, and terrorist acts. Based on these search categories, Caldara and Iacoviello gather cross-country data on GDP and country-specific geopolitical risk spanning 121 years to show that elevated geopolitical risk increases the probability of economic disasters, lowers expected GDP growth, and raises downside risks to GDP growth.
DATA The data are updated for each month around the 10th of the following month.
Cite as: Caldara, Dario and Matteo Iacoviello, “Measuring Geopolitical Risk,” working paper, Board of Governors of the Federal Reserve Board, December 2019.
See country specific Indices in the pages below.
North America: USA, Canada, Mexico
South America: Argentina, Brazil, Chile, Colombia, Peru, Venezuela
Europe (North and East): Denmark, Finland, United Kingdom, Norway, Sweden, Russia, Ukraine
Europe (South and West): Belgium, Switzerland, Germany, France, The Netherlands, Italy, Spain, Portugal
Middle East and Africa: Israel, Saudi Arabia, Turkey, South Africa
Asia: China, Hong Kong, Japan, South Korea, The Philippines, Taiwan, Indonesia, India, Malaysia, Thailand
Oceania: Australia